They go through something called the Water Cycle,
First, they will go through the Evaporation Step where the water will evaporate into a gas and raise into the clouds.
Then, they will go through the Condensation Step where the Vapor that went into the clouds will cool down and turn back into liquid water.
Next, they will go through the Precipitation Step where the Water (which can be Rain Hail snow or Sleet) will fall out of the clouds.
Finally, all of the fallen water will collect into Lakes, Oceans, Rivers, Streams and sometimes water under the ground.